Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0183
Annualized Std Dev 0.1255
Annualized Sharpe (Rf=0%) -0.1461

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.0849
Quartile 1 -0.0035
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0035
Maximum 0.1023
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0079
Skewness -0.0757
Kurtosis 18.3206

Downside Risk

Close
Semi Deviation 0.0057
Gain Deviation 0.0060
Loss Deviation 0.0064
Downside Deviation (MAR=210%) 0.0111
Downside Deviation (Rf=0%) 0.0057
Downside Deviation (0%) 0.0057
Maximum Drawdown 0.4688
Historical VaR (95%) -0.0108
Historical ES (95%) -0.0186
Modified VaR (95%) -0.0103
Modified ES (95%) -0.0103
From Trough To Depth Length To Trough Recovery
2008-12-24 2020-03-18 NA -0.4688 3080 2826 NA
2008-09-09 2008-10-10 2008-12-04 -0.2265 62 24 38
2003-05-27 2006-06-29 2008-05-27 -0.1262 1260 781 479
1999-02-22 2000-01-18 2000-12-18 -0.1250 463 230 233
2008-05-28 2008-06-19 2008-09-08 -0.0859 72 17 55

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 1 0 0 0 0 0 1 0 -2 0 -1.1 0 -1.2
2000 1.1 0 1.1 0 1.1 1 2 0 -1 0 1 0 6.4
2001 1.1 0.8 -0.3 0.3 0 -0.2 -0.5 1 1.8 0.6 0.6 0.3 5.7
2002 0 -0.2 -0.9 0.5 0.3 0.1 0 0 -0.4 0 0.3 1 0.7
2003 -0.4 -0.1 0.1 0.4 0.1 0 -0.8 -0.1 0.6 0 -0.6 0.4 -0.3
2004 0.6 0.3 -0.1 0.2 -0.2 0.3 0.3 0.2 -0.6 -0.3 0 0.2 0.8
2005 0 0.2 0.5 -0.6 0.4 -0.1 0.5 -0.1 0.2 0 -0.3 0.3 0.8
2006 -1.1 -0.2 0.3 0 0 0.8 0.9 0.6 0 -0.2 0.3 0.2 1.8
2007 0.3 0 -0.4 0.3 -0.6 0.3 -1.3 0.8 0.3 0.6 0.3 1.4 1.8
2008 0.1 -0.3 -0.7 0.6 -0.9 1 -0.3 0 8 0.3 -2.9 2.6 7.4
2009 0 -0.8 -0.4 1.1 0.6 -0.1 0.8 0.3 0.8 0.1 0.7 0.9 3.9
2010 -1.1 0.1 -0.1 0.4 0.6 0.7 -0.9 0 0.7 -0.1 -0.4 0.7 0.5
2011 0 0.8 0.3 0 0.6 0.4 1.5 0.4 -2.3 0.1 0.7 0 2.6
2012 0.7 1.1 -1.3 1.2 0.1 0.6 0.6 -0.4 1.7 0.1 -0.6 0.4 4.3
2013 0.6 0.3 0.2 0.9 -0.5 -0.8 -1.2 -0.4 0.4 -0.2 -0.5 -0.5 -1.8
2014 0.2 0.3 0 1 -0.2 0.3 0.2 0.3 0.4 0.4 -1 -1 0.8
2015 0 -0.3 0.7 0.2 -0.2 0.9 0.4 1.3 -0.7 0.4 1.1 0.2 4
2016 1.1 -0.6 -1.1 -0.4 0.4 0.6 0.9 -0.2 0.4 0.6 1 1.2 3.9
2017 0.4 -0.2 0.2 0 0.4 0.6 1.4 0.2 0 0.6 0.8 -0.2 4.3
2018 0 0.4 0.7 0.9 0.4 -0.2 0 0 0.5 -0.2 0.2 0.7 3.3
2019 -0.7 0.5 -0.4 1.1 0.4 0.9 0.5 -0.2 -0.4 -0.5 0 -0.6 0.5
2020 1.1 -1.3 0.9 0.2 0.8 0.9 0 0.4 0.2 0 0.4 0.7 4.3
2021 0.4 0.2 -0.5 NA NA NA NA NA NA NA NA NA 0.2

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart